What Are the Big Sellers of Volatility Protection?

The idea is options tend to trade relatively rich and so it's a good sort of risk-adjusted return to keep selling them. As of the 2005 vintage like that was really a consequence of at least in rates markets, Fannie and Freddie were very large. They had 40 turns of leverage so 0.2% times 40 is a pretty good return basically. So there have been these programs that have built up to continue this trade even as they've shrunk.